Dear R users, I am using the vars package to calculate the impulse response functions and the forecast error variance decomposition of a VAR model. Unfortunately I do not know whether these functions assume unit or one standard deviation shocks. I tried to look into the code of these functions, but in vain: neither irf, nor vars::irf, nor vars:::irf output the code of the functions. Does someone know whether irf and fevd assume one standard deviation or a unit shock? How can I see the code of these functions? Regards, Martin Ivanov ----------------------------------------------------------------- ?????? ??? - ?? ???????! survivor.btv.bg
I am pretty sure, it is a unit shock. I think that it says in th documentation. On 10/13/07, Martin Ivanov <tramni@abv.bg> wrote:> > > Dear R users, > > I am using the vars package to calculate the impulse response functions > and the forecast error variance decomposition of a VAR model. Unfortunately > I do not know whether these functions assume unit or one standard deviation > shocks. I tried to look into the code of these functions, but in vain: > neither irf, nor vars::irf, nor vars:::irf output the code of the functions. > Does someone know whether irf and fevd assume one standard deviation or a > unit shock? How can I see the code of these functions? > > Regards, > Martin Ivanov > > ----------------------------------------------------------------- > ëÒÁÊÎÁ ÃÅÌ - äÁ ÏÃÅÌÅÅÛ! survivor.btv.bg > > ______________________________________________ > R-help@r-project.org mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]
On Sat, Oct 13, 2007 at 03:08:58PM +0300, Martin Ivanov wrote:> > Dear R users, > > I am using the vars package to calculate the impulse response functions and the forecast error variance decomposition of a VAR model. Unfortunately I do not know whether these functions assume unit or one standard deviation shocks. I tried to look into the code of these functions, but in vain: neither irf, nor vars::irf, nor vars:::irf output the code of the functions. Does someone know whether irf and fevd assume one standard deviation or a unit shock? How can I see the code of these functions??getAnywhere should do it> > Regards, > Martin Ivanov > > ----------------------------------------------------------------- > ?????? ??? - ?? ???????! survivor.btv.bg > > ______________________________________________ > R-help at r-project.org mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.